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Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael (contributor) - 2004 - [Elektronische Ressource], Rev. February 16, 2005
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10002595455
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Choosing factors in a multifactor asset pricing model : a Bayesian approach
Ericsson, Johan (contributor); Karlsson, Sune (contributor) - 2003 - [Elektronische Ressource], Rev. February 12, 2004
We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on...
Persistent link: https://www.econbiz.de/10001746452
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On seasonal error correction when the processes include different numbers of unit roots
Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001
forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …
Persistent link: https://www.econbiz.de/10001600047
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Forecasting with artificial network models
Rech, Gianluigi (contributor) - 2002 - [Elektronische Ressource]
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The … in comparison to other more sophisticated ANN models. -- Neural networks ; forecasting ; nonlinear time series …
Persistent link: https://www.econbiz.de/10001645582
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Common factors in conditional distributions
Granger, C. W. J. (contributor);  … - 2002 - [Elektronische Ressource]
The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...
Persistent link: https://www.econbiz.de/10001714617
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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2004 - [Elektronische Ressource], First version October 2004, revised December 2005 and April 2007
autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional duration (ACD) models with possibly complicated …
Persistent link: https://www.econbiz.de/10002465203
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Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination
Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004
; nonlinear modelling ; nonlinear forecasting …
Persistent link: https://www.econbiz.de/10002127012
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Univariate nonlinear time series models
Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]
discussed thereafter. Forecasting with nonlinear models also has its own section. A brief set of final remarks closes the …
Persistent link: https://www.econbiz.de/10002679532
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Learning the true index level : index return autocorrelation in an REE auction market
Säfvenblad, Patrik - 1997
Persistent link: https://www.econbiz.de/10000971378
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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620